Modelling dependence

W.C.M. Kallenberg

    Research output: Contribution to journalArticleAcademicpeer-review

    8 Citations (Scopus)

    Abstract

    A new way of choosing a suitable copula to model dependence is introduced. Instead of relying on a given parametric family of copulas or applying the other extreme of modelling dependence in a nonparametric way, an intermediate approach is proposed, based on a sequence of parametric models containing more and more dependency aspects. In contrast to a similar way of thinking in testing theory, the method here, intended for estimating the copula, often requires a somewhat larger number of steps. One approach is based on exponential families, another on contamination families. An extensive numerical investigation is supplied on a large number of well-known copulas. The method based on contamination families is recommended. A Gaussian start in this approximation looks very promising.
    Original languageUndefined
    Article number10.1016/j.insmatheco.2007.01.008
    Pages (from-to)127-146
    Number of pages20
    JournalInsurance: mathematics & economics
    Volume42
    Issue number1
    DOIs
    Publication statusPublished - Feb 2008

    Keywords

    • EWI-11971
    • MSC-62H12
    • IR-62184
    • MSC-62P05
    • METIS-250877
    • MSC-62H20

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